This study extracts the common factors from firm-based credit spreads of major Japanese corporate bonds and examines the predictive content of the credit spread on the real economy. Instead of employing single-maturity corporate bond spreads, we focus on the entire term structure of the credit...

Due to their status as "theʺ benchmark yield for the world’s largest government bond market and its importance for US monetary policy, the interest in a "goodʺ forecast of the constant maturity yield of the 10-year U.S. Treasury bond ("T-bond yieldsʺ) is immense. This paper assesses three...